Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy
Jan Jacobs () and
Kenneth Wallis ()
Journal of Econometrics, 2010, vol. 158, issue 1, 108-116
Cointegration ideas as introduced by Granger in 1981 are commonly embodied in empirical macroeconomic modelling through the vector error correction model (VECM). It has become common practice in these models to treat some variables as weakly exogenous, resulting in conditional VECMs. This paper studies the consequences of different approaches to weak exogeneity for the dynamic properties of such models, in the context of two models of the UK economy, one a national-economy model, the other the UK submodel of a global model. Impulse response and common trend analyses are shown to be sensitive to these assumptions and other specification choices.
Keywords: Cointegration; Macroeconometric; modelling; Vector; error; correction; model; Impulse; response; analysis; Weak; exogeneity (search for similar items in EconPapers)
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Working Paper: COINTEGRATION, LONG-RUN STRUCTURAL MODELLING AND WEAK EXOGENEITY: TWO MODELS OF THE UK ECONOMY (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:158:y:2010:i:1:p:108-116
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